In an option pricing model do you include weekends in the days to expiry or is it trading days to expiry? thanks for settling this argument i am having with a friend!
I fail to see the misspelling here. If you're referring to "expiry", then you are indeed a bad speller because this is a perfectly valid word. http://www.dictionary.com/search?q=expiry I would be very interested to know the answer to the question though. Thanks.
Yes, you include weekends. This is why option sellers love weekends because they make the most money on Monday.
based on the experience you guys had in trading, do a lot of market moving events happen over the weekend ?